{"id":"https://openalex.org/W2015492003","doi":"https://doi.org/10.3386/w15523","title":"Currency Carry Trade Regimes: Beyond the Fama Regression","display_name":"Currency Carry Trade Regimes: Beyond the Fama Regression","publication_year":2009,"publication_date":"2009-11-01","ids":{"openalex":"https://openalex.org/W2015492003","doi":"https://doi.org/10.3386/w15523","mag":"2015492003"},"language":"en","primary_location":{"id":"doi:10.3386/w15523","doi":"https://doi.org/10.3386/w15523","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w15523","pdf_url":"https://doi.org/10.3386/w15523","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"volume":null,"type":"report","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.3386/w15523","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5039031678","display_name":"Richard H. Clarida","orcid":"https://orcid.org/0000-0003-4208-3732","observed_orcids":["https://orcid.org/0000-0003-4208-3732"]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Richard Clarida","raw_affiliation_strings":["NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","Columbia University 420 West 118th Street Room 826,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"Columbia University 420 West 118th Street Room 826,","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5061250633","display_name":"Josh Davis","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Josh Davis","raw_affiliation_strings":["NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","Columbia University 420 West 118th Street Room 826,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"Columbia University 420 West 118th Street Room 826,","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5026350723","display_name":"Niels Pedersen","orcid":"https://orcid.org/0009-0001-1162-1078","observed_orcids":["https://orcid.org/0009-0001-1162-1078"]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Niels Pedersen","raw_affiliation_strings":["Columbia University 420 West 118th Street Room 826,","NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Columbia University 420 West 118th Street Room 826,","institution_ids":["https://openalex.org/I78577930"]},{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":53,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9564999938011169,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9564999938011169,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.01860000006854534,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":0.01590000092983246,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/carry-trade","display_name":"carry trade","score":0.8410000205039978},{"id":"https://openalex.org/keywords/currency-risk-premia","display_name":"currency risk premia","score":0.3880000114440918},{"id":"https://openalex.org/keywords/interest-rate-differentials","display_name":"interest rate differentials","score":0.5659999847412109}],"concepts":[{"id":"https://openalex.org/C2776299755","wikidata":"https://www.wikidata.org/wiki/Q432449","display_name":"Carry (investment)","level":2,"score":0.7891716957092285},{"id":"https://openalex.org/C141121606","wikidata":"https://www.wikidata.org/wiki/Q8142","display_name":"Currency","level":2,"score":0.6866910457611084},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5994153022766113},{"id":"https://openalex.org/C83546350","wikidata":"https://www.wikidata.org/wiki/Q1139051","display_name":"Regression","level":2,"score":0.5208297967910767},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.40639418363571167},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.40181273221969604},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.16794836521148682},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.161336749792099},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.13299480080604553}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3386/w15523","doi":"https://doi.org/10.3386/w15523","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w15523","pdf_url":"https://doi.org/10.3386/w15523","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"}],"best_oa_location":{"id":"doi:10.3386/w15523","doi":"https://doi.org/10.3386/w15523","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w15523","pdf_url":"https://doi.org/10.3386/w15523","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.7799999713897705,"id":"https://metadata.un.org/sdg/10","display_name":"Reduced inequalities"}],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320320279","display_name":"University of Warwick","ror":"https://ror.org/01a77tt86"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2015492003.pdf","grobid_xml":"https://content.openalex.org/works/W2015492003.grobid-xml"},"referenced_works_count":18,"referenced_works":["https://openalex.org/W1971713783","https://openalex.org/W2014405898","https://openalex.org/W2043765223","https://openalex.org/W2067790650","https://openalex.org/W2093503007","https://openalex.org/W2123888799","https://openalex.org/W2126554688","https://openalex.org/W2153611425","https://openalex.org/W2158844915","https://openalex.org/W2160062766","https://openalex.org/W2245688264","https://openalex.org/W2502286233","https://openalex.org/W2891669519","https://openalex.org/W3124139210","https://openalex.org/W3124618050","https://openalex.org/W3124831871","https://openalex.org/W6608439925","https://openalex.org/W6680511771"],"related_works":["https://openalex.org/W7096583085","https://openalex.org/W3122669071","https://openalex.org/W333964882","https://openalex.org/W19166964","https://openalex.org/W389722457","https://openalex.org/W122468734","https://openalex.org/W2483029909","https://openalex.org/W2252485599","https://openalex.org/W2754266542","https://openalex.org/W2182274384"],"abstract_inverted_index":{"We":[0],"examine":[1],"the":[2,7,54,89,99,143,151,157,180,187,190,205,208,232,274,279,285,292,313],"factors":[3,226,244,257,306],"that":[4,62,76,85,111,142,147,197,227,234,240,268],"account":[5],"for":[6,22,130],"returns":[8,18,41,110,252,290],"on":[9,92,156,303,312],"currency":[10,27,63,82,217],"carry":[11,28,38,64,105,236,249,262,288],"trade":[12,39,65,237,250,263,289],"strategies.Using":[13],"a":[14,33,148,163,194,308],"dataset":[15],"of":[16,81,88,101,150,168,179,204,210,281],"daily":[17],"spanning":[19],"18":[20],"years":[21],"5":[23],"different":[24],"long":[25],"-short":[26],"portfolios,":[29],"we":[30,50,140,266],"first":[31],"document":[32,125],"robust":[34,272],"empirical":[35],"relationship":[36],"between":[37,216],"excess":[40,109,251,264],"and":[42,48,52,73,119,136,213,220,277],"exchange":[43,153],"rate":[44,154,160],"volatility,":[45],"both":[46],"realized":[47,152],"implied.Specifically,":[49],"extend":[51],"refine":[53],"results":[55],"in":[56,115,186,223,231,284,291],"Bhansali":[57],"(":[58],"2007)":[59],"by":[60,172],"documenting":[61],"strategies":[66,84,97],"implemented":[67],"with":[68,248,261],"forward":[69],"contracts":[70],"have":[71,98],"payoff":[72],"risk":[74,218,221],"characteristics":[75],"are":[77,245,258],"similar":[78],"to":[79,106,273,278],"those":[80],"option":[83],"sell":[86],"out":[87],"money":[90],"puts":[91],"high":[93,137],"interest":[94,159,174],"rates":[95],"currencies.Both":[96],"feature":[100],"collecting":[102],"premiums":[103],"or":[104],"generate":[107],"persistent":[108],"unwind":[112],"sharply":[113],"resulting":[114],"losses":[116],"when":[117,183],"actual":[118],"implied":[120],"volatility":[121,127,138,181,184,283],"rise.We":[122],"next":[123],"also":[124],"significant":[126,214],"regime":[128],"sensitivity":[129],"Fama":[131,191],"regressions":[132],"estimated":[133],"over":[134],"low":[135],"periods.Specifically":[139],"find":[141],"well":[144],"known":[145],"result":[146],"regression":[149,192],"depreciation":[155],"lagged":[158],"differential":[161],"produces":[162,193],"negative":[164],"slope":[165,256],"coefficient":[166,196],"(instead":[167],"unity":[169],"as":[170],"predicted":[171],"uncovered":[173],"parity)":[175],"is":[176,185,198,271,299],"an":[177,211],"artifact":[178],"regime:":[182],"top":[188],"quartile,":[189],"positive":[195],"greater":[199],"than":[200],"unity.The":[201],"third":[202],"section":[203],"paper":[206],"documents":[207],"existence":[209],"intuitive":[212],"co-movement":[215],"premium":[219],"premia":[222],"yield":[224,241,254,304],"curve":[225,242,255,305],"drive":[228],"bond":[229],"yields":[230],"countries":[233],"comprise":[235],"pairs.We":[238],"show":[239,267],"level":[243],"positively":[246],"correlated":[247,260],"while":[253],"negatively":[259],"returns.Importantly,":[265],"this":[269],"correlation":[270],"current":[275,293],"crisis":[276,294,297],"inclusion":[280],"equity":[282,314],"model.What":[286],"distinguishes":[287],"from":[295],"non":[296],"periods":[298],"not":[300],"changed":[301],"loading":[302,311],"but":[307],"much":[309],"larger":[310],"factor.":[315]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2018,"cited_by_count":7},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":8},{"year":2012,"cited_by_count":7}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}